Continuous strong Markov processes in dimension one : a stochastic calculus approach /

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Bibliographic Details
Author / Creator:Assing, Sigurd, 1965-
Imprint:Berlin ; New York : Springer, ©1998.
Description:1 online resource (xii, 135 pages).
Series:Lecture notes in mathematics, 0075-8434 ; 1688
Lecture notes in mathematics (Springer-Verlag) ; 1688.
Subject:Markov processes.
Stochastic integral equations.
Markov, Processus de.
Équations intégrales stochastiques.
Markov processes.
Stochastic integral equations.
Stochastische processen.
Stetiger Markov-Prozess.
Electronic books.
Format: E-Resource Book
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Other authors / contributors:Schmidt, W. (Wolfgang), 1957-
Notes:Includes bibliographical references (pages 133-135) and index.
Print version record.
Summary:The book presents an in-depth study of arbitrary one-dimensional continuous strong Markov processes using methods of stochastic calculus. Departing from the classical approaches, a unified investigation of regular as well as arbitrary non-regular diffusions is provided. A general construction method for such processes, based on a generalization of the concept of a perfect additive functional, is developed. The intrinsic decomposition of a continuous strong Markov semimartingale is discovered. The book also investigates relations to stochastic differential equations and fundamental examples of irregular diffusions.
Other form:Print version: Assing, Sigurd, 1965- Continuous strong Markov processes in dimension one. Berlin ; New York : Springer, ©1998 3540644652